您当前的位置: Home» Professor

Liu Xiangli

作者:     日期:2015-03-30    来源:

Contact Information                                          

Department of Financial Engineering, School of Finance.

Central University of Finance and Economics, 39 College South Road, Haidian District, Beijing, 100081.

Phone: +8610 62288607
Email: lxlbxl@163.com; liuxiangli@cufe.edu.cn

 

Research Area/Interests                                                                

Econometrics;  Financial Engineering;  Financial Market Microstructure;  Financial Risk Management.

 

Current Academic Position                                                                

Oct. 2013--- Present    Professor.  Department of Financial Engineering, School of Finance. Central University of Finance and Economics, Beijing, China.

 

Teaching                                                            

Operations Research; Financial Engineering; Derivate Financial Instruments; Financial Risk Management; Financial Model and Financial Calculating; Futures and Options.

 

Education                                                            

Sep.2005-Jul.2008

Ph.D. in Management, School of Management, Graduate University of Chinese Academy of Sciences, Beijing, China. 

Speciality: Management Science and Engineering.

Sep. 1996-Apr.1999 

M.A. in Science, School of Science, Northern Jiaotong University, Beijing, China.

Speciality: Applied Mathematics.                                     

Sep. 1992-Jul.1996

B.A. in Science, Department of Mathematics, Shanxi University, Taiyuan, China. 

Speciality: Mathematics.

                                    

Previous Academic/working Experience                                                            

Apr.1999- Jan.2008  Lecturer. Department of Statistics, School of Science. Beijing Information Technology Institute, Beijing, China
Jan.2008-May.2009  Associate Professor. Department of Statistics, School of Science. Beijing Information Technology Institute, Beijing, China
May.2009--- Oct. 2013    Associate Professor.  Department of Financial Engineering, School of Finance.   Central University of Finance and Economics, Beijing, China
Oct. 2013--- Present    Professor.  Department of Financial Engineering, School of Finance. Central University of Finance and Economics, Beijing, China
Apr.2011--- Oct. 2011  Visiting Faculty.  University of Wisconsin-Plateville.
Sep.2014--- Oct. 2015  Visiting Faculty.  University of Wisconsin-Madison.

 

Published Papers                                                       

1.Study on the intraday pattern and the dynamic correlation among return, volume and open interest — Evidence from Chinese commodity futures markets. Journal of Systems Science and Complexity, 2015, 28/1: 156-174. (SCI)
2.VaR estimation of China’s futures market, taking SHFE copper futures for example. International Review of Applied Financial Issues and Economics. 2011, 3/1:3-19.
3.An empirical study on information spillovers between Chinese copper futures market and spot market. Physica A: Statistical Mechanics and its Applications. 2008, 387/4: 899-914. (SCI)
4.Novel soliton-like and multi-solitary wave solutions of (3+1)-dimensional Burgers equation. Applied Mathematics and Computation. 2008, 204/1: 461-467. (SCI)
5.High-Frequency data stock index futures-spot market volatility jumps and jumps overflow test---based on EEMD and wavelet denoising. Journal of Systems Science and Mathematical Sciences,2017,37/6:1509-1523. (in Chinese)
6.The management of exchange rate risk for airline company. China Forex,2017,9:60-62. (in Chinese)
7.Information overflow and correlation between stock index spot and index futures -- on the basis ADCC - TGARCH and CCF test. Journal of Systems Science and Mathematical Sciences, 2016, 4:487-501. (in Chinese)
8.Symmetric linkage and information spillover between stock index and stock index futures. Forecasting, 2015, 6:39-44. (in Chinese)
9.The risk measurement of Hushen 300 index futures market based on liquidity adjusted returns. Systems Engineering Theory & Practice, 2015, 7:1760-1769. (in Chinese)
10.Research on high frequency data forecasting of stock index futures market based on wavelet analysis. Systems Engineering Theory & Practice, 2015, 6:1425-1432. (in Chinese)
11.Research on risk spillovers from the real estate department to financial system based on AR-GARCH-CoVaR. Systems Engineering Theory & Practice, 2014, 8:106-111. (EI, in Chinese)
12.The intraday trend and impact factor analysis on liquidity of Chinese futures market. Systems Engineering Theory & Practice, 2013, 6:1395-1401. (EI, in Chinese)
13.Research on the dynamic hedging strategy of Chinese copper futures based on the perspective of basis. Journal of Management Sciences in China. 2012, 6: 53-62. (in Chinese)
14.Analysis on volatility of Chinese futures market based on ACD model. Systems Engineering Theory & Practice, 2012,2:268-273.(EI, in Chinese)
15.Price Discovery Function of the Stock Index futures on the Basis of VECM. Management Review. 2012,2:48-54. (in Chinese)
16.Comovement of Hushen 300 Index Futures and Stock Index in China. Journal of Dongbei University of Finance and Economics. 2012, 1:63-68. (in Chinese)
17.Intraday Price Discovery Function of Hushen 300 Index Futures in China. Friends of Accounting. 2011, 31:102-106. (in Chinese)
18.Long memory of China futures markets volatility for high-frequency time series. (to appear in Systems Engineering Theory & Practice, in Chinese)(EI)
19.The analysis on volatility cluster of China's futures market based on ACD model. Journal of Management Sciences in China. 2010, 5: 72-81. (in Chinese)
20.Empirical analysis of the USD/JPY exchange rate determination based on the EXMODEL. Systems Engineering Theory & Practice. 2009, 9: 16-22. (EI, in Chinese)
21.The high frequency statistical analysis of Chinese futures markets. Journal of Beijing Institute of Machinery. 2009, 3: 79-83. (in Chinese)
22.Analysis on the information spillover effect between futures market and spot market. Journal of Management Sciences in China. 2008, 3: 125-139. (in Chinese)
23.The risk estimation of China’s futures market by using parametric approach, semiparametric approach and nonparametric approach. Management Review. 2008, 7: 3-8. (in Chinese)
24.The intraday effect of China's futures market. Systems Engineering Theory & Practice. 2008, 8: 63-80. (EI, in Chinese)
25.An empirical analysis on differences of two methods for measuring GDP. Economic Research Journal. 2007, 7: 51-63. (in Chinese)
26.The research on singular stochastic control problem with stopping. Mathematics in Practice and Theory. 2007, 16: 96-102. (in Chinese)
27.The optimal strategy of a class of stochastic optimization problem. Statistics and Decision. 2007, 5: 33-34. (in Chinese)
28.Extension of optimal control of proportional reinsurance model with dividend process. Journal of Shanxi University. 2006, 3: 249-252. (in Chinese)
29.The inexistence of a class of stochastic optimal control problem. Journal of Taiyuan University of Technology. 2006, 6: 706-709. (in Chinese)
30.The research on a class of optimal control strategy problem with stopping. Mathematics in Practice and Theory. 2006, 6: 193-199. (in Chinese)

 

Published Books                                                            

1.  Information Spillover Effect and Autoregressive Conditional Duration Models. Taylor & Francis, 2014.

2.  The Research on the Market Structure and Functions of Shanghai and Shenzhen 300 Stock Index Futures. Economic Science Press,2017. (in Chinese).

Complex Variables and Integral Transforms(2nd Edition). China Machine Press, 2016. (in Chinese)

4.  Research on China Bulk Mineral Sources and Copings Strategies. 2014(in Chinese)

5.  A Study on China's Futures Market Microstructure. Beijing, Science Press, 2010. (in Chinese)

6.  Theory and Methods of Matrixes(Second Edition). Beijing, Publishing House of Electronics Industry, 2013. (in Chinese)

7.  Guidance on Theory and Methods of Matrixes. Beijing, Publishing House of Electronics Industry, 2013. (in Chinese)

8. Complex Variables and Integral Transforms Beijing, China Machine Press, 2009. (in Chinese)

 

Research Projects                                                     

2017-2020, in charge of the project “The market risk measurement and management of China financial derivatives ”,  funded by Program for Innovation Research in Central University of Finance and Economics.
2015-2018, in charge of the project “The microtheory, dynamic model and its application of the information spillover and risk contagious among financial markets based on high frequency data”, funded by National Science Fund of China (No. 71471182).
2011-2013, in charge of the project “ The intraday risk of the futures market based on duration theory ”, funded by Humanities and Social Science funded by National Science Fund of China(No. 71071170).

 

Honors&Awards                                                     

Supported by Program for New Century Excellent Talents in University (NCET-11-0750) , the Ministry of Education